RSI 趋势套利

策略概览
「RSI 趋势套利」策略是一款基于动态支撑阻力概念的自动化交易策略。它创新性地将RSI指标的超买超卖阈值与经过波动率调整的移动平均线通道相结合，用以识别趋势启动的契机并进行追踪止损。该策略不仅具备清晰的交易逻辑，还集成了时间过滤器、回测日期范围选择以及自动平仓机制，旨在捕捉趋势性行情的同时，有效控制风险。

核心逻辑与功能
动态交易通道 (Dynamic Bands)

策略的核心是计算一个动态通道。该通道以选定类型的移动平均线（如EMA、SMA等）为中线，并以27周期的ATR（平均真实波幅） 来衡量市场波动性。

RSI的上界（默认60）和下界（默认40）并非直接用于RSI指标本身，而是作为参数来动态缩放通道的宽度。这使得通道能自适应不同波动率的市场环境，在趋势市场中扩大通道以抓住更多利润，在震荡市场中收窄通道以减少虚假信号。

趋势判断与交易信号

多头信号：当价格（使用ohlc4）上穿动态通道的上边界时，策略判定市场进入多头趋势，产生买入信号。

空头信号：当价格（使用close）下穿动态通道的下边界时，策略判定市场进入空头趋势，产生卖出信号。

策略通过内部状态变量确保在同一时间只存在一种趋势立场（多头或空头），避免了信号反复切换。

高级过滤与风险管理

时间过滤器：允许用户自定义每日的交易时段（例如，仅允许在上午9点到下午4点之间交易），避免在流动性差或波动异常的时段进行操作。

回测日期范围：可以精确设置策略的回测起止日期，方便进行历史业绩验证和参数优化。

自动定时平仓：策略内置了在每日下午15:10 - 15:20之间自动平仓所有头寸的功能，旨在规避隔夜风险或锁定当日利润，非常适合日內交易者。

丰富的可视化与警报

可视化：在图表上清晰地绘制了动态通道的上轨和下轨，并根据当前市场趋势改变颜色（绿色为多头，红色为空头）。同时可选择显示中线，并为K线着色以直观显示当前趋势状态。

警报系统：策略内置了Alert功能，可在产生交易信号时触发警报，方便用户实时监控或连接自动化交易系统。

适用市场与场景
适用品种：该策略基于价格和波动率，理论上适用于所有具有趋势特性的交易品种，如股票、外汇、期货、加密货币等。

总结
「RSI 趋势套利」策略是一款设计精巧、功能全面的趋势跟踪工具。它通过将经典的RSI思想与动态波动率通道相结合，提供了一种系统化的趋势交易解决方案。其内置的风控模块和灵活的过滤器使其不仅是一个信号指标，更是一个可直接用于实盘的完整交易策略框架。 Strategy Overview
The "RSI Trend Arbitrage" strategy is an automated trading system built on the concept of dynamic support and resistance levels. It innovatively combines the overbought/oversold thresholds of the RSI indicator with a volatility-adjusted moving average channel to identify trend initiation opportunities and manage trades. Equipped with a time filter, backtest date range selection, and an automatic position-closing mechanism, this strategy is designed to capture trending moves while effectively managing risk.

Core Logic & Methodology
Dynamic Trading Channel

The core of the strategy is a dynamic channel. This channel uses a selected type of moving average (e.g., EMA, SMA, WMA) as its midline and employs the 27-period Average True Range (ATR) to measure market volatility.

The RSI Upper (default: 60) and Lower (default: 40) bounds are not used directly on the RSI indicator but as parameters to dynamically scale the width of this channel. This allows the channel to adapt to different market regimes: widening to capture more profit during trending markets and narrowing to reduce false signals during ranging markets.

Trend Identification & Trading Signals

Long Signal: A bullish trend is confirmed when the price (using ohlc4) crosses above the dynamic channel's upper bound, triggering a buy entry.

Short Signal: A bearish trend is confirmed when the price (using close) crosses below the dynamic channel's lower bound, triggering a sell entry.

Internal state variables ensure the strategy maintains only one market bias (long or short) at a time, preventing signal whipsaws.

Advanced Filters & Risk Management

Time Filter: Allows users to define specific trading hours within the day (e.g., only between 9:00 AM and 4:00 PM), avoiding periods of low liquidity or atypical volatility.

Backtest Date Range: Enables precise configuration of the strategy's backtesting period for accurate historical performance analysis and optimization.

Auto-Close Mechanism: The strategy features a built-in function to close all open positions between 15:10 - 15:20 daily. This is crucial for mitigating overnight risk or locking in intraday profits, making it ideal for day traders.

Visualization & Alerts

Visuals: Plots the dynamic upper and lower bounds on the chart, changing their color based on the prevailing trend (green for bullish, red for bearish). Options to display the midline and color the price bars provide an at-a-glance view of the market state.

Alert System: Integrated alert conditions trigger notifications upon signal generation, enabling real-time monitoring and connectivity to automated trading systems.

Recommended Markets & Usage
Instruments: As a price-and-volatility-based strategy, it is theoretically applicable to any trending asset, including stocks, forex, futures, and cryptocurrencies.